09/18 Daily Summary

I hope everyone enjoys the weekend, I sure will! No major change on both positions Today, that's always good news! I have also posted my backtesting for the RUT Iron Butterfly.

Position's Details:
09/18 RUT Iron Butterfly
09/18 MNX Iron Butterfly
09/18 Backtesting RUT Iron Butterfly

09/18 RUT Iron Butterfly

No major change on RUT Today, P&L improved slightly, contingent orders already in place for Monday.

09/18 MNX Iron Butterfly

No major change again Today. I have set the contingent orders for Monday. Starting next week I expect theta to increase to about $30 per day

09/18 Backtesting RUT Iron Butterfly

I spent the past 2 weeks backtesting the RUT Iron Butterfly, I used TOS thinkback for the backtesting, therefore the adjustments can only be made as end-of-day trades, meaning the use of contingent orders can't be considered.

My goal in backtesting is to get a feel for the trade, the number of adjustments and the way it survives the most different and wild market conditions. I noticed that this strategy requires adjusting regardless of the environment, as you can see on the charts bellow, you adjust even when the price is totally within 1 st. deviation on the volatility cone. On the Bright side you can make money even if the market goes way out of the cone.

Like Dan Harvey puts it, this is a market-following strategy, and the name of the game is to keep theta comming regardless of where the market is going.

09/17 Daily Summary

I have started looking at my contingent orders and posting to the blog early in the morning, I find that this time of day I'm more relaxed and refreshed. Of course, I'm in Brazil right now, so around 9 AM is still 5AM Pacific time. When I get back to California next week I'll have to change that. :)

Nothing major happened, I watched another great video with Dan Harvey and my friend Gary Lee. Gary did an awesome job on his SEP RUT Iron Butterfly! We all got hammered in that last week, but Gary rode the horse till the end and made money out of it. Good job Gary! I certainly recommend watching the video if you're a Sheridan Student.

Position's Details:
09/17 RUT Iron Butterfly
09/17 MNX Iron Butterfly

09/17 RUT Iron Butterfly

I usually don't do make any adjustments until end of day, but I was going to have a busy time at closing, so I made my move intra-day: I did a butterfly roll to move my short 590Call and place it at 620. To balance the adjustment I sold one of my extra long Calls. This added theta to my position and kept the delta in pretty much the same shape.

Notice on the Price action chart that the RUT is a bit more active than the MNX, with a few extra bigger days of price movement.

09/17 MNX Iron Butterfly

No contingent order triggered, that's a good thing. The position has a decent theta, and it should increase to around 30 next week. So far, so good, contingent orders in place for the 18th.